Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model

Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model

This paper analyses the main drivers of sovereign bond spreads in a globalised world. Specifically, we account for international spillovers of bond spreads by adding an additional driver, namely, financial markets, and allowing interactions across countries and markets. We contribute to the VAR lite...

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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 58-2014)
Main Author: Niehof, Britta
Format: Article
Language:English
Published: Philipps-Universität Marburg 2014
Subjects:
Philipps Curve
Wirtschaft
Taylor Rule
Stochastic Differential Equations
New Keynesian Model
Economics
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Call Number: urn:nbn:de:hebis:04-es2024-03580
Publication Date: 2024-01-12
Downloads: 28 (2024)
License: https://creativecommons.org/publicdomain/mark/1.0
Access URL: https://archiv.ub.uni-marburg.de/es/2024/0358
https://doi.org/10.17192/es2024.0358

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